Business Administrationhttp://hdl.handle.net/10679/42
Thu, 21 Mar 2019 20:27:40 GMT2019-03-21T20:27:40ZAddressing endogeneity in the causal relationship between sustainability and financial performancehttp://hdl.handle.net/10679/6130
Addressing endogeneity in the causal relationship between sustainability and financial performance
Soytaş, Mehmet Ali; Denizel, M.; Uşar, Damla Durak
The existing empirical literature on the relationship between corporate sustainability performance and corporate financial performance casts doubt on the direction of this relationship although more studies point out a direction from sustainability to performance. Literature also presents a gap in addressing the mechanism(s) of the relationship that hinders the convergence of the empirical findings and only recently the question of causality is being addressed with modern econometric techniques. We argue that due to the potential endogeneity problem in the relationship, an empirical strategy without a theoretical base may result in inconclusive or misleading conclusions. We address the potential endogeneity problem in the relationship and identify the possible causes of this endogeneity as: (i) firm level heterogeneity in financial returns, (ii) the relationship between firm's productivity level and the marginal cost of sustainability initiatives, and (iii) measurement error. We implement Instrumental Variable (IV) technique to overcome these biases. Our results present empirical evidence to support the hypothesis that corporate sustainability is positively related (possibly causally) with corporate financial performance. We further find that sustainability initiatives are more costly for companies that are more productive; thus, they have less incentive to invest. Finally, measurement error in the sustainability metrics does not play a crucial role.
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Mon, 14 Jan 2019 00:00:00 GMThttp://hdl.handle.net/10679/61302019-01-14T00:00:00ZPreferences for lottery stocks at Borsa Istanbulhttp://hdl.handle.net/10679/6123
Preferences for lottery stocks at Borsa Istanbul
Alkan, U.; Gyuner, Bılıana Stefanova
We investigate the existence of lottery-like preferences of investors at Borsa Istanbul. Proxying these preferences with demand for stocks with extreme positive returns (“MAX”), we establish that high-MAX stocks’ significantly underperform low-MAX stocks, controlling for a series of potential explanatory return characteristics. We find that the negative relationship between MAX and expected returns is driven by stocks strongly preferred by individual investors and strengthens following periods of high investor sentiment. A natural experiment suggests that the MAX discount increased during the period of temporary short-sale restrictions at Borsa Istanbul. Our findings suggest a limits-to-arbitrage explanation for the MAX anomaly.
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Sun, 01 Jul 2018 00:00:00 GMThttp://hdl.handle.net/10679/61232018-07-01T00:00:00ZBattle of the brand fans: impact of brand attack and defense on social media(article)http://hdl.handle.net/10679/5998
Battle of the brand fans: impact of brand attack and defense on social media(article)
Ilhan, B. E.; Kubler, Raoul V.; Pauwels, K. H.
Fans of a brand attack fans of rival brands on social media. Given the nature of such rival brand fan attacks, managers are unsure about how much control they should exercise on brand-negative comments on their owned social media touchpoints, and what brand actions drive these Attack, Defense and Across (ADA) posts. Multimethod analysis identifies ADA's impact across industries of technology, fast food, toothpaste, beverages, and sports apparel. Sentiment analysis identifies that fans posting in both communities stimulate both brand-negative and brand-positive comments. Despite their relatively low prevalence (1–6% of all posts), ADA posts induce broader social-media brand engagement as they substantially increase and prolong the effects of managerial control variables such as communication campaigns and new-product introductions. Brand managers, thus, have specific levers to stimulate the positive consequences of rival brand fan posting on their owned media.
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Wed, 01 Aug 2018 00:00:00 GMThttp://hdl.handle.net/10679/59982018-08-01T00:00:00ZRobust term structure estimation in developed and emerging marketshttp://hdl.handle.net/10679/5991
Robust term structure estimation in developed and emerging markets
Ahi, Emrah; Akgiray, V.; Şener, Emrah
Despite powerful advances in interest rate curve modeling for data-rich countries in the last 30 years, comparatively little attention has been paid to the key practical problem of estimation of the term structure of interest rates for emerging markets. This may be partly due to limited data availability. However, emerging bond markets are becoming increasingly important and liquid. It is, therefore, important to be understand whether conclusions drawn from developed countries carry over to emerging markets. We estimate model parameters of fully flexible Nelson–Siegel–Svensson term structures model which has become one of the most popular term structure model among academics, practitioners, and central bankers. We investigate four sets of bond data: U.S. Treasuries, and three major emerging market government bond data-sets (Brazil, Mexico and Turkey). By including both the very dense U.S. data and the comparatively sparse emerging market data, we ensure that are results are not specific to a particular data-set. We find that gradient and direct search methods perform poorly in estimating term structures of interest rates, while global optimization methods, particularly the hybrid particle swarm optimization introduced in this paper, do well. Our results are consistent across four countries, both in- and out-of-sample, and for perturbations in prices and starting values. For academics and practitioners interested in optimization methods, this study provides clear evidence of the practical importance of choice of optimization method and validates a method that works well for the NSS model.
Mon, 01 Jan 2018 00:00:00 GMThttp://hdl.handle.net/10679/59912018-01-01T00:00:00Z